Narrow search
Showing 1 - 10 of 75
Cover Image
The [beta]-variance gamma model
Schoutens, Wim; Van Damme, Geert - In: Review of derivatives research 14 (2011) 3, pp. 263-282
Persistent link: https://www.econbiz.de/10009349988
Cover Image
Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes
Fukasawa, Masaaki; Hirano, Asuto - In: Quantitative finance 21 (2021) 7, pp. 1127-1146
Persistent link: https://www.econbiz.de/10012588025
Cover Image
JDOI variance reduction method and the pricing of American-style options
Auster, Johan; Mathys, Ludovic; Maeder, Fabio - In: Quantitative finance 22 (2022) 4, pp. 639-656
Persistent link: https://www.econbiz.de/10013367843
Cover Image
Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing
Vitiello, Luiz; Poon, Ser-Huang - In: Review of derivatives research 17 (2014) 2, pp. 241-259
Persistent link: https://www.econbiz.de/10010529622
Cover Image
A closed-form solution for options with ambiguity about stochastic volatility
Faria, Gonçalo; Correira-da-Silva, João - In: Review of derivatives research 17 (2014) 2, pp. 125-159
Persistent link: https://www.econbiz.de/10010529639
Cover Image
Option pricing and hedging under a stochastic volatility Lévy process model
Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; … - In: Review of derivatives research 15 (2012) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10009627431
Cover Image
A call on art investments
Kräussl, Roman; Wiehenkamp, Christian - In: Review of derivatives research 15 (2012) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10009627444
Cover Image
The value of tradeability
Chesney, Marc; Kempf, Alexander - In: Review of derivatives research 15 (2012) 3, pp. 193-216
Persistent link: https://www.econbiz.de/10009709689
Cover Image
Variance reduction techniques of importance sampling Monte Carlo methods for pricing options
Zhao, Qiang; Liu, Guo; Gu, Guiding - In: Journal of mathematical finance 3 (2013) 4, pp. 431-436
Persistent link: https://www.econbiz.de/10010239518
Cover Image
Generalized option betas
Husmann, Sven; Todorova, Neda - In: Journal of mathematical finance 3 (2013) 3, pp. 347-356
Persistent link: https://www.econbiz.de/10010239545